There are several things that could cause this. If you had any software that might be regarded as a rival to McAfee make sure you ran their removal tool first.
Likewise if any previous McAfee home products run the MCPR removal tool linked in my signature.
McAfee relies on an up to date and working Internet Explorer whether or not you use it as your default browser.
Make sure that you have the final version of IE8 installed as any beta versions will cause problems and then go to Tools/Internet Options/Advanced and click the Reset button. Click Apply and OK. Close and reopen IE and then go to Tools/Manage Add-ons and re-enable the add-ons.
Run a couple of anti-malware tools forst to make sure nothing is blocking the installer. The free version of these two tools are good, Update before running and let them remove anything they find.
http://www.superantispyware.com/superantispywarefreevspro.htmlhttp://www.malwarebytes.org/mbam.phpTry saving DMSETUP to your desktop first. Right-click/Properties and Unblock (if blocked). Try again.